The buckling, de-lamination, and cracking of the thin film/substrate system caused by thermal stress is the main obstacle for functional failure. Moreover, the thermal stress of vanadium dioxide (VO2) thin film may be more complicated due to the stress re-distribution caused by phase transition. Therefore, the thermal stress of VO2 thin films deposited on four substrates with different materials (fused silica, silicon slice, sapphire, and glass) has been studied by finite element method in the present work. The influences of external temperature, substrate, and interlayer on thermal stress were analyzed. It was found that the substrates can greatly affect the thermal stresses, which were mainly caused by the mismatch of coefficient of thermal expansion (CTE). The thermal stress had a linear relationship with the external temperature, but this tendency would be redistributed or even change direction when phase transition occurred. The simulated results were in tandem with the analytical method. Meanwhile, the radial stress and shear stress distribution under the influence of phase transition were calculated. In addition, the reduction of thermal stress and shear stress showed that the appropriate interlayer can enhance the adhesive strength effectively.